Dunn Capital Management

About Dunn Capital Management

Dunn Capital Management is a full service firm that is located in the third floor of the DUNN Building by the banks of the St. Lucie River. With a 24 hour trading desk staff by 7 traders with an average of 20 years experience and a research team of 7 research officers 4 of which have Ph. Ds, Dunn is proud of its personnel. Dunn Capital Management is located in Stuart, Florida.

Company Background

Dunn Capital Management is one of the oldest firms that handle futures industry. It manages more than $1 billion through systematic portfolios. Aside from the organization, sale and management of several private futures funds, the firm also trades with both public and private funds and accounts. For more than 40 years, Dunn Capital Management’s track record has a compounded annual rate of return of over 18%. No other manager has reached this level for such a long period of time.

Goals in Investment

The goal of Dunn Capital Management is to capture profits from every trend and to avoid loss by exiting losing trades. Profits are gained whether from up or down trends.

Markets Traded

The Dunn Capital Management portfolio includes trading in real estate, bonds, equities and other traditional assets. Aside from that it also includes financial, agricultural futures, metal and energy markets. Investments are done either short or long. Holding period is around 6 months.

Strategy

The firm uses systematic and quantitative strategies. Signals are never overridden and there is no discretionary aspect in the trades. The firm makes use of the World Monetary and Agricultural Program. It is a system that is trend following, long term and reversal trading based.

World Monetary and Agriculture Program will always have a position in any market involvement, either short or long. Since 1974, the firm has used the same algorithm but is only applied in financial futures and energies. World Monetary and Agriculture Program has been activated since 1984. The primary objective of the World Monetary and Agriculture Program is to capture profits from every trend and to avoid loss by exiting losing trades.

For each market, quantitative models are applied. Trade time frames in the World Monetary and Agriculture Program can be from 3 to 4 months, excluding contract rolling. World Monetary and Agriculture Program is a system that acts as signal vs. noise discriminator. It is able to determine substantial price movements that can indicate a trend or “signals” against mere price fluctuations or “noise”. The World Monetary and Agriculture Program uses two parameters for the market to avoid over fitting.

Every day the World Monetary and Agriculture Program checks which of the price movements can signal a new trend. When that occurs, the position is reversed, such as from net long to net short. When this reversal is done, contracts are adjusted based on risk in relation to volatility in the market and the net asset value of the portfolio.

If a signal or price movement does not occur, World Monetary and Agriculture Program will make no changes in its position. World Monetary and Agriculture Program only makes one decision, whether to reverse or not. This means signals are both initiations and stop loss signals combined.

For risk management, the firm uses an Adaptive Risk Profile. This can determine the size of portfolio positions. It is adjusted in a day to day basis using a proprietary metric system based on market correlations, volatility and expected returns.

Key Personnel

William A. Dunn

Dr. William A. Dunn started his career in finance on 1974, with $137,000 put together by 19 partners. He applied his 100% systematic strategies for the future market on 11 markets. These strategies were developed after years of testing and simulation, the result is his algorithms and rules for portfolio management.

He was in new territory as a quant trader in futures management and undeveloped asset class alternatives. His methodology was developed from his experience in research and analysis both from the university and on the defense contracting industry

In 1960, he earned his B.S. in Engineering Physics from the University of Kansas. In 1966, he was given his Ph. D. in Theoretical Physics from the Northwestern University. He taught in the University of California and Pomona College. Before the founding of the firm, he produced operational research and system analysis studies for the Marine Corps, the Coast Guard, the Navy and the Department of Defense. He helms all operations that critical to the firm, along with development of new trading systems and improvements of methodologies to manage risk.

Martin Bergin

In 2010, the Dunn Succession Plan was initiated making the current President, full owner to the firm by 2019. He has worked with Dunn for several years with varying responsibilities. He is in charge of directing and supervising the research and development efforts. He also manages the activities in operations and finances of the firm. Aside from that, he is responsible for the daily trades, the management of risks, and direction for the accounting, budgeting, long term processes and human resources.

Prior to his position in the firm, he was a partner in the CPA firm of Homes, Lowry, Horn & Johnson Ltd. in Fairfax, Virginia. He was in charge for the firm’s audit, tax and consulting for managed futures, defense and banking industries.

Offerings

Dunn Capital Management has a minimum investment amount of $10 m. It has no management fee and has an incentive fee of 25%. The principals of the firm have their net worth already invested in the same firm and on its programs. The interests of the firm are the interests of its clients.

2014 Performance Statistics

Annualized volatility is at 33.99%. Sharpe (RFR= 1%) is at 0.54 CAROR is at 14.73%. Assets are at $496 million. Worst DD to date is -57.66 and S&P Correlation is at -0.03. Year to date is at 35.67% with NOV at 7.22%.